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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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The New York stock market in the 1920s and 1930s : did stock prices move together too much?
Rappoport, Peter - 1994
Persistent link: https://www.econbiz.de/10000883024
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Essays in stock market efficiency and time-varying risk premia
Beltratti, Andrea - 1991
Persistent link: https://www.econbiz.de/10000883816
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An analysis of US stock price behavior using wavelets
Ramsey, James B.; Usikov, Daniel; Zaslavsky, George M. - 1994
Persistent link: https://www.econbiz.de/10000887599
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Anatomy of the trading process : empirical evidence on the behavior of institutional traders
Keim, Donald B.; Madhavan, Ananth Narayan - 1994
Persistent link: https://www.econbiz.de/10000887826
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Trading analysis of October 13 and 16, 1989
1990
Persistent link: https://www.econbiz.de/10000887885
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The upstairs market for large-block transactions : analysis and measurement of price effects
Keim, Donald B.; Madhavan, Ananth Narayan - 1994 - Rev
Persistent link: https://www.econbiz.de/10000887996
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Fourth-moments structures in financial time series
Kunst, Robert M. - 1993
Persistent link: https://www.econbiz.de/10000888010
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Dinámica no lineal en la bolsa de valores
Mayer-Foulkes, David; Feliz, Raúl Aníbal - 1992 - 1. ed
Persistent link: https://www.econbiz.de/10000889335